References—613

The non degree-of-freedom corrected versions of these estimators remove the leading term involving the number of observations and number of coefficients.

References

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Pedroni, P. (2004). “Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis,” Econometric Theory, 20, 597–625.

Wansbeek, Tom, and Arie Kapteyn (1989). “Estimation of the Error Components Model with Incomplete Panels,” Journal of Econometrics, 41, 341-361.

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614—Chapter 35. Pooled Time Series, Cross-Section Data